AIR is a run-time where applications are rendered, kind of like the browser is a "runtime" where web pages are rendered.

You can develop applications for the AIR run-time in Flash, Flex, HTML, JavaScript, Ajax, but Flex is probably the most tightly integrated technology with which to create AIR apps..

Here is the official Adobe blurb on AIR and some links to get you started.

Adobe AIR is a cross-operating system runtime that allows you to leverage your existing web development skills (Flash, Flex, HTML, JavaScript, Ajax) to build and deploy Rich Internet Applications (RIAs) to the desktop.

AIR enables you to work in familiar environments, to leverage the tools and approaches you find most comfortable, and by supporting Flash, Flex, HTML, JavaScript, and Ajax, to build the best possible experience that meets your needs.